I have used normal printer paper with no problems at all, glued with Prit Stick as it sticks a bit more than milk.
I did have one batch for which a friend with a letterpress printer had printed some labels on quite thick paper, almost thin card, and even that was still flexible enough to be stuck on with Prit Stick.
Now I use normal Avery inkjet labels, 6 per sheet size, and they're fine. Go on easily, though you can't straighten them once they're stuck so you need to be careful if you don't want them to be crooked, but I prefer that to faffing about with glue. They also come off quite easily after a day or so soaking in water.
I only normally label 12 from a batch and mark the caps for the rest, as otherwise it's a lot of labels and ink for each brew!